RhettRay · 2023年05月31日
* 问题详情，请 查看题干
NO.PZ201712110200000401
问题如下：
Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:
选项：
A.1.98.
B.2.15.
C.2.73.
解释：
B is correct.
The AI bond’s value if interest rates shift down by 30 bps (PV–) is 100.78. The AI bond’s value if interest rates shift up by 30 bps (PV+) is 99.487.
Effective duration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15
例如上图是辅导老师的解题过程，V+在year2，既然折现率4.9377%小于coupon rate，作为callable，为什么不直接取100呢而是99.7114？
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师您好，我看原教材解析里面都懒得写计算全过程了...... 一般考试中会出现这么繁琐的计算么
NO.PZ201712110200000401问题如下Baseon Exhibits 1 an2, the effective ration for the bonis closest to:A.1.98.B.2.15.C.2.73.B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15对于含权债券如何判断题目给的现金流是否含权，什么时候需要在分母加oas
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师上课说过，OAS是剔除了权利影响的sprea分子的现金流已经包含了权利影响了。那为什么还可以在二叉树的利率上直接加OAS，但是现金流又还是按照初始的coupon rate来计算呢？
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 不是call 100吗，100.779大于100，为什么不按100算呢？
